J
2024
Frequency volatility connectedness and portfolio hedging of US energy commodities
KOČENDA, Evžen a Michala MORAVCOVÁ
Základní údaje
Originální název
Frequency volatility connectedness and portfolio hedging of US energy commodities
Vydání
Research in International Business and Finance, Amsterdam, ELSEVIER, 2024, 0275-5319
Další údaje
Typ výsledku
Článek v odborném periodiku
Obor
50200 5.2 Economics and Business
Stát vydavatele
Nizozemské království
Utajení
není předmětem státního či obchodního tajemství
Impakt faktor
Impact factor: 6.500 v roce 2022
Organizační jednotka
Ekonomicko-správní fakulta
Klíčová slova anglicky
connectedness; volatility; spillovers frequency; decomposition portfolio; weights and hedge ratios; energy commodities; distress
Příznaky
Mezinárodní význam, Recenzováno
V originále
We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment horizons and (ii) different periods of distress. The early stage of the Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment horizons, particularly during the three major distress periods. We also show that despite it is difficult and more costly to diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits.
Zobrazeno: 12. 2. 2025 14:52